Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook In Financial Economics Series 3)

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Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook In Financial Economics Series 3)

Written by Leonard C. Maclean
4.85 81,871 ratings
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About this ebook:
This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.Contents: "The Early Ideas and Contributions: "Introduction to the Early Ideas and ContributionsExposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) "(D Bernoulli)"A New Interpretation of Information Rate "(J R Kelly, Jr)"Criteria for Choice among Risky Ventures "(H A Latané)"Optimal Gambling Systems for Favorable Games "(L Breiman)"Optimal Gambling Systems for Favorable Games "(E O Thorp)"Portfolio Choice and the Kelly Criterion "(E O Thorp)"Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions "(N H Hakansson)"On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields "(N H Hakansson)"Evidence on the “Growth-Optimum-Model” "(R Roll)""Classic Papers and Theories: "Introduction to the Classic Papers and TheoriesCompetitive Optimality of Logarithmic Investment "(R M Bell and T M Cover)"A Bound on the Financial Value of Information "(A R Barron and T M Cover)"Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment "(P H Algoet and T M Cover)"Universal Portfolios "(T M Cover)"The Cost of Achieving the Best Portfolio in Hindsight "(E Ordentlich and T M Cover)"Optimal Strategies for Repeated Games "(M Finkelstein and R Whitley)"The Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice "(V K Chopra and W T Ziemba)"Time to Wealth Goals in Capital Accumulation "(L C MacLean, W T Ziemba, and Y Li)"Survival and Evolutionary Stability of Rule the Kelly "(I V Evstigneev, T Hens, and K R Schenk-Hoppé)"Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes "(Y Lv and B K Meister)""The Relationship of Kelly Optimization to Asset Allocation: "Introduction to the Relationship of Kelly Optimization to Asset AllocationSurvival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time "(S Browne)"Growth versus Security in Dynamic Investment Analysis "(L C MacLean, W T Ziemba, and G Blazenko)"Capital Growth with Security "(L C MacLean, R Sanegre, Y Zhao, and W T Ziemba)"

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Published September 30, 2010
ISBN 18887983
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Leonard C. Maclean
About the Author
Leonard C. Maclean

Leonard C. Maclean writes contemporary fiction and has always been fascinated by character-driven stories. They hold a degree in English Literature and previously worked as an editor before transitioning to writing their own books. Leonard C. Maclean lives with their spouse and a very vocal rescue cat.

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Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
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Absolutely brilliant. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
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I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I will undoubtedly revisit this masterpiece.
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A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
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Excellent, though slightly flawed. It held my rapt attention, even when certain twists were telegraphed. A wonderful companion for a quiet weekend.
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Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. I will undoubtedly revisit this masterpiece.
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Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An effortless 5 stars.
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Honestly one of the most premium reading experiences lately. The author orchestrated a breathtaking finale. Truly a work of art. Worth every moment spent reading.
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Exceeded all my expectations. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
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I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. Worth every moment spent reading.
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Honestly one of the most premium reading experiences lately. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
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Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An absolute must-read for connoisseurs of the genre.
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Such a rich narrative. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
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A profoundly satisfying read. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
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Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. An absolute must-read for connoisseurs of the genre.
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A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
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Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre.
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I was completely blown away. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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A very strong entry. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. I would highly recommend this to discerning readers.
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A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
Betty Lee
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Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
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Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. A very distinguished novel.
Laura Harris
Laura Harris June 02, 2024
Masterpiece from start to finish. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
Dorothy Diaz
Dorothy Diaz September 17, 2024
A highly sophisticated read. A brilliant concept executed with flair. Just a few pacing choices I would change. A very distinguished novel.
Lisa Roberts
Lisa Roberts December 20, 2024
Exceeded all my expectations. I adored how the story unfolded. It kept me captivated without sacrificing elegance. I am now a lifelong fan of this author.
David Hill
David Hill January 12, 2025
Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
Sarah Sanchez
Sarah Sanchez May 15, 2025
Took a moment to build, but the payoff was spectacular. The middle had a deliberate pace, but the climax was phenomenal. A solid 4 stars from me.
Christopher  Davis
Christopher Davis March 27, 2024
A highly sophisticated read. The protagonist was compelling, though some subplots felt slightly overshadowed. Quite impressive overall.
Eric Smith
Eric Smith December 21, 2024
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An absolute must-read for connoisseurs of the genre.
William Garcia
William Garcia July 26, 2024
Exceeded all my expectations. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Matthew Nguyen
Matthew Nguyen November 12, 2025
I was completely blown away. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An absolute must-read for connoisseurs of the genre.
Carol Baker
Carol Baker February 01, 2024
A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. I am now a lifelong fan of this author.
Donna Wilson
Donna Wilson August 30, 2024
Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. I would highly recommend this to discerning readers.
Margaret Lee
Margaret Lee April 27, 2024
Took a moment to build, but the payoff was spectacular. A brilliant concept executed with flair. Just a few pacing choices I would change. A solid 4 stars from me.
Emily Roberts
Emily Roberts November 23, 2024
Absolutely brilliant. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
Sarah Hill
Sarah Hill August 23, 2025
Masterpiece from start to finish. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
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Not entirely to my refined tastes. The prose was competent, yet the characters lacked the depth I usually seek. Perhaps more aligned with a different audience's tastes.
Cynthia Nguyen
Cynthia Nguyen February 07, 2025
I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. I will undoubtedly revisit this masterpiece.
Dorothy Harris
Dorothy Harris September 10, 2024
Absolutely brilliant. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
Susan Cruz
Susan Cruz February 02, 2024
Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. An effortless 5 stars.
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